English, Article edition: CFITZRW: Stata module to implement Christiano-Fitzgerald Random Walk band pass filter for timeseries data Christopher F Baum; Martha Lopez

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Bookmark: http://trove.nla.gov.au/version/101946
Physical Description
  • code
Language
  • English

Edition details

Title
  • CFITZRW: Stata module to implement Christiano-Fitzgerald Random Walk band pass filter for timeseries data
Author
  • Christopher F Baum
  • Martha Lopez
Physical Description
  • code
Notes
  • cfitzrw filters one or more time series using the Christiano-Fitzgerald Random Walk band-pass filter described in Christiano and Fitzgerald (Int Econ Rev, 2003). They demonstrate that the filter, an approximation to the "ideal" band-pass filter, is reasonable for economic timeseries which are approximately random walk processes. In contrast to the Baxter-King filter (bking), the CF-RW filter is neither symmetric nor time-constant, but is capable of processing the entire time series.
  • time-series data, filtering, business cycles, band-pass
  • RePEc:boc:bocode:s456741
Language
  • English
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